A two-factor model for low interest rate regimes (Q2575438): Difference between revisions

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+Volatility skews and extensions of the Libor market model
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+A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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+Interest rate models -- theory and practice
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+A Theory of the Term Structure of Interest Rates
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+Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
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+Understanding the implied volatility surface for options on a diversified index
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+Pricing Interest-Rate-Derivative Securities
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+Arbitrage in continuous complete markets
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+AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
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+MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
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+An equilibrium characterization of the term structure
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